Stochastic mortality modelling

Models

• 01/02/2010: Bauer, D., Benth, F., Kiesel, R.: Modeling the Forward Surface of Mortality
• 06/07/2009: Cox, S., Lin, Y., Milidonis, A.: Mortality Regimes and Pricing
• 09/03/2009: Hanewald K. and Post T.: Aggregate Mortality, Macroeconomic Risks and Life Insurers Solvency
• 16/01/2009: Hanewald K.: Mortality Modeling: Lee-Carter and the macroeconomy
• 20/05/2008: Bauer D., Boerger M. and Russ J.: On the Pricing of Longevity-Linked Securities
• 11/30/2007: Cairns A.J.G.: A Multifactor Generalisation of the Olivier-Smith Model for Stochastic Mortality
• 10/12/2007: Gourieroux C. and Monfort A.: Quadratic Stochastic Intensity and Prospective Mortality Tables
• 10/12/2007: Bauer D., Boerger M., Russ J. and Zwiesler H.-J.: The Volatility of Mortality
• 05/17/2007: Bauer D., Eckel S., Kassberger S., Kling A., Leidenberger R., Liebmann T., Wang S., Zwiesler H.-J.: Berücksichtigung biometrischer Trends in den Rechnungsgrundlagen der privaten Pflegeversicherung
• 05/17/2007: Lin Y., Cox S.L.: Securitization of Mortality Risks in Life Annuities
• 05/08/2007: Korn R., Natcheva K. and Zipperer J.: Langlebigkeitsbonds - Bewertung, Modellierung und Aspekte für deutsche Daten
• 04/17/2007: Cairns A.J.G., Blake D., Dowd K., Coughlan G.D., Epstein D., Ong A. and Balevich I.: A quantitative comparison of stochastic mortality models using data from England & Wales and United States
• 07/07/2006: Babel B., Bomsdorf E. and Schmidt R.: Forecasting German mortality using panel data procedures
• 04/04/2006: Cairns A.J.G., Blake D., Dawson P. and Dowd K.: Pricing the Risk on Longevity Bonds
• 02/09/2006: Cairns A.J.G., Blake D. and Dowd K.: Pricing Frameworks for Securitization of Mortality Risk
• 02/09/2006: Cairns A.J.G., Blake D. and Dowd K.: A two-factor model for stochastic mortality with parameter uncertainty
• 02/09/2006: Cairns A.J.G., Blake D. and Dowd K.: Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk